Daily Derivative Report For Stock Market 29 November

The Nifty futures open interest decreased by 21.38% while Bank Nifty futures open interest is decreased by 38.13% as market closed at 6091.85 levels.

The Nifty December future closed at premium of 56.95 point against a premium of 59.15 points. The January series closed at a premium of 107.30 points.

The Implied Volatility of at the money options has increased from 18.71% to 20.05%.

Nifty PCR-OI has increased from 0.89 to 0.96 levels.

The total OI of the market is Rs. 1, 61,992/- cr. and the stock futures OI is Rs. 37,155/- cr.

Few of the liquid counters where we have seen high cost of carry are GMRINFRA, JPPOWER, NHPC, ADANIPOWER and INDIACEM.

Nifty Vs OI

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FII’s were marginal buyer in cash market segment. On derivatives front they were net buyer in index futures & index options with significant fall in open interest due to expiry.

In options front decent buildup was seen in 6500 & 6600 call option. In put options the overall buildup was quite scattered, some buildup was seen in the range of 5500 to 6100 strikes in yesterday’s trading session.

Rollover in Nifty & Bank nifty is on the lower side at 72.75% and 59.25% respectively, while Market wide rollover is 78.75%.